Default and prepayment options pricing and default probability valuation under VG model

DOI10.1016/j.cam.2021.113724zbMath1475.91366OpenAlexW3178601949MaRDI QIDQ2050944

A. Alper Hekimoglu, Bilgi Yilmaz, A. Sevtap Selcuk-Kestel

Publication date: 1 September 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113724

zbMATH Keywords

characteristic functionFourier transformationdefault probabilityvariance gamma processprepayment optiondefault option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
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• The Variance Gamma Process and Option Pricing
• A new numerical method for pricing fixed-rate mortgages with prepayment and default options

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